Stress Testing Model Validator

3 weeks ago

Mumbai, India 9478 Deutsche India Private Limited Full time

Description

:

Job Title: Model Validation Specialist

Corporate Title: AVP

Location: Mumbai

CRO Overview

Overview

What We Offer You

We build talented and diverse teams to drive business results. We welcome applications from talents from all cultures, countries, races, genders, sexual orientations, abilities, beliefs and generations.

What You’ll Do

Independently review and challenge the methodologies used to generate scenarios and revalue positions, in particular in the space of PnL stress testing and Value at Risk (incl. recalibration, shock smoothening methodologies etc) Review and challenge the mathematical/theoretical soundness of the model, check independently its implementation, and assess its suitability for the quantity modelled Adhere to the testing framework and augment with expert judgment tests to identify model boundary conditions Engage with model developers and owners and communicate in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc. Actively engage in the on-going review of model performance and applicability as well as the validation and review of model changes

Skills You’ll Need

Post-graduate qualification (or equivalent qualification / work experience) in a numerate subject such as Mathematics, Physics, Statistics, Finance (PhD or equivalent is not required but would be beneficial) At least 3 years of experience for AVP in model validation, other quantitative risk management role or Front Office quantitative discipline Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms and statistical methods Strong understanding in financial markets (especially derivative pricing), demonstrated by qualifications and experience Understanding of stress testing and VAR methodologies or cross-asset pricing models (beneficial)

Skills That Will Help You Excel

You have highly analytical skills and hands-on-mentality. You have experience in coding in Python in a managed codebase or equivalent languages You are a team player and possess excellent communication skills, both written and spoken You are Self-motivated and proactive.

How we’ll support you

Training and development to help you excel in your career. Coaching and support from experts in your team A culture of continuous learning to aid progression. A range of flexible benefits that you can tailor to suit your needs.

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